Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0497
Annualized Std Dev 0.2639
Annualized Sharpe (Rf=0%) 0.1885

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1230
Quartile 1 -0.0075
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0083
Maximum 0.1699
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0166
Skewness 0.2360
Kurtosis 7.7857

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0122
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0163
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.6469
Historical VaR (95%) -0.0260
Historical ES (95%) -0.0385
Modified VaR (95%) -0.0233
Modified ES (95%) -0.0271
From Trough To Depth Length To Trough Recovery
2007-10-30 2008-11-20 2015-04-09 -0.6469 1873 269 1604
1999-12-13 2003-04-25 2006-04-21 -0.5449 1598 845 753
2019-04-08 2020-03-23 2021-02-17 -0.3290 470 242 228
2015-05-26 2016-02-09 2017-08-02 -0.3120 553 180 373
2018-01-29 2018-10-29 2019-04-04 -0.2097 298 191 107

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.7 0 1.3 -0.5 0.6 0.5 0.5 0 0.5 0 1.4 0.4 5.6
2000 1.4 -1.4 1.4 1.5 4.3 0 -1.9 0 0.5 0.5 4.8 0.5 12.1
2001 1 -2.5 1.1 1 0.1 1.2 1.3 1.3 -3.7 2 2.1 -1 3.9
2002 -2.5 1.7 0 0.5 0.1 -2 -1.6 0.1 4.9 1.2 -1.5 1.6 2.4
2003 1.5 0.1 0.4 0.3 1.3 1.2 -0.5 1.2 3 0.1 2.5 0.8 12.6
2004 0.8 0.3 0.4 -0.6 -1.6 -1 -0.4 1.2 1.6 -0.6 1.8 0.2 2.1
2005 0 0.8 -0.6 1.7 0.8 -0.2 0.8 1.4 -0.3 1 1.2 -1.1 5.5
2006 -0.6 1.6 -0.9 -0.5 0.7 0.5 -0.9 1.2 -1.5 0.2 -1.4 0.1 -1.4
2007 1.9 -1.5 -0.4 0.4 -0.1 -0.8 -0.7 3 1.9 -4.1 1.3 1.9 2.6
2008 0.5 -3.1 4.2 1.8 0.6 -0.6 0.2 -1.1 1.1 -2.4 -8.1 1 -6.2
2009 2.1 0.6 2.1 0.9 2.9 0.7 0 -1.5 -2.7 -1.8 2 -0.4 4.9
2010 2.6 1.1 1.7 -1.8 -1.5 0.2 0.4 2.3 1 1.7 2.9 -0.7 10.1
2011 1.4 -0.4 0.8 0.2 -1.1 0.9 0.6 -0.8 -4.7 1 -0.2 0.3 -2.2
2012 0.7 0.3 0.4 0.9 -1.9 2.8 -0.1 1.1 0.8 2.2 -0.3 1.2 8.1
2013 0.2 0 -0.9 -1.1 -1.1 -0.2 2 0.6 1 0.9 -0.2 0.6 1.7
2014 -0.3 0.2 2.4 0.3 0.3 0.3 -0.1 -0.8 -1.4 1.1 -2.5 0 -0.5
2015 -1.2 -0.1 1.5 1 0 0.1 0.5 -2.9 0.5 -1 1.3 -0.5 -0.9
2016 -0.8 1.9 -0.7 -1.7 -0.3 0.8 -0.2 1.2 0.4 0.4 -0.9 0.3 0.2
2017 0.3 1.5 -0.6 0.2 1.1 -0.1 0.9 0.6 0.8 1 -0.4 0.5 5.9
2018 -0.9 0.1 1.1 0 0 0 -1.7 0.2 0.5 2.9 -0.1 -0.2 2
2019 -1.3 0.2 1.7 -0.4 -0.8 1 -2.6 -1.8 -1.3 2.2 -2 0.2 -4.9
2020 -2 0.4 -3.3 -2.8 3.2 0.6 -0.6 0.5 1.1 -1.3 1.6 -0.7 -3.3
2021 1 1.5 -0.2 NA NA NA NA NA NA NA NA NA 2.3

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart